Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0581
Annualized Std Dev 0.2251
Annualized Sharpe (Rf=0%) 0.2582

Row

Daily Return Statistics

Close
Observations 3634.0000
NAs 1.0000
Minimum -0.1023
Quartile 1 -0.0054
Median 0.0009
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0067
Maximum 0.1071
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0142
Skewness -0.3565
Kurtosis 8.3765

Downside Risk

Close
Semi Deviation 0.0104
Gain Deviation 0.0098
Loss Deviation 0.0116
Downside Deviation (MAR=210%) 0.0149
Downside Deviation (Rf=0%) 0.0103
Downside Deviation (0%) 0.0103
Maximum Drawdown 0.6388
Historical VaR (95%) -0.0217
Historical ES (95%) -0.0354
Modified VaR (95%) -0.0220
Modified ES (95%) -0.0413
From Trough To Depth Length To Trough Recovery
2007-10-12 2009-03-09 2013-10-24 -0.6388 1520 353 1167
2020-02-13 2020-03-23 2020-11-09 -0.3956 188 27 161
2018-01-29 2018-12-24 2020-01-14 -0.2534 494 229 265
2014-06-10 2016-01-20 2016-11-22 -0.1829 621 407 214
2007-07-20 2007-08-15 2007-10-05 -0.1188 55 19 36

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA NA NA NA 0.4 -0.7 -0.6 0.2 -0.7
2007 1.1 -0.5 0 -0.1 0.5 -0.1 -0.1 2 1.3 -2.3 1 -1.1 1.4
2008 3.6 -2.2 2.4 1.1 0.9 -0.7 -1.6 -0.3 -1.4 0.8 -8 3 -2.9
2009 -2.8 -1.5 1.8 0.6 4.5 1.7 1.4 -2.2 -2.9 -3.1 2.9 -0.4 -0.5
2010 1.1 0.8 1.4 -1.4 -1.7 0.5 0 4.1 0 0 2.7 0.2 8
2011 1.6 -1.3 0.6 0.2 -2.1 1.4 -1.1 -1.4 -3.5 -3.5 -0.1 0.1 -9
2012 1.2 0.6 0.7 0.7 -3.2 3.5 -0.3 0.7 0.6 1.6 0.5 1.2 7.8
2013 1 -0.1 -1.3 -1.2 -1.6 1.5 1.1 -1 0.6 -0.2 -0.2 0.5 -0.9
2014 -1.1 0.7 0.4 0 0 0.7 -0.4 -0.1 -1.8 1.5 -0.6 -1.1 -1.8
2015 -1.4 0 -0.4 0.8 0 0.6 0.3 -2.8 0.1 0.3 0.6 -0.9 -3
2016 0 2 -0.6 -0.3 0 0.3 -0.6 0.2 0.6 -0.8 0.5 -0.3 1
2017 0.3 1.4 -0.4 0.2 0.8 0.7 0.3 0.2 0.3 0 -0.8 0.2 3.1
2018 -0.2 -1.8 1.4 -0.3 0.9 0.5 -0.8 0.1 0.5 1.2 0.4 0.8 2.7
2019 0.2 -0.1 1.7 -0.8 -1.2 0.5 -1.3 0.4 -1.7 1.4 -0.8 0.1 -1.7
2020 -2.1 -1.6 -5.1 -2.6 0.8 -0.3 -1.7 0.4 0 -0.3 0.8 0.2 -11
2021 1.1 2.2 -0.7 NA NA NA NA NA NA NA NA NA 2.6

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld    ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>    <dbl>    <dbl>
1 2006-09-21  50.7 SPY    132. -0.00480 -0.0027    0.0134   0.0595   0.0906    0.286    0.336 GLD    58.0  1.21e-2   0.0133
2 2006-09-25  50.9 SPY    132.  0.0077   0.0026    0.0218   0.0599   0.0909    0.310    0.316 GLD    58.5  0.        0.0046
3 2006-09-26  51.3 SPY    134.  0.0083   0.0134    0.029    0.078    0.0987    0.332    0.313 GLD    58.7  4.10e-3   0.032 
4 2006-09-27  51.6 SPY    134.  0.00120  0.00930   0.0254   0.0721   0.100     0.338    0.319 GLD    59.8  1.82e-2   0.0445
5 2006-09-28  51.8 SPY    134. -0.0004   0.0138    0.0238   0.0504   0.0988    0.325    0.307 GLD    59.8 -3.00e-4   0.0318
6 2006-10-02  52.0 SPY    133. -0.0037   0.0045    0.0187   0.0413   0.0816    0.304    0.276 GLD    59.2 -5.40e-3   0.0111
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart